Exploring the finance-real economy link in U.S.: Empirical evidence from Panel Unit Root and Co-integration Analysis

Abdou-Aziz Niang (), Abdoulaye Diagne () and Marie-Claude Pichery ()
Additional contact information
Abdou-Aziz Niang: LEG/AMIE - CNRS UMR 5118 - Université de Bourgogne et Consortium pour la Recherche Economique et Sociale
Abdoulaye Diagne: Université Cheikh Anta Diop de Dakar (Sénégal) et Consortium pour la Recherche Economique et Sociale
Marie-Claude Pichery: LEG/AMIE - CNRS UMR 5118 - Université de Bourgogne

No 2010-02, LEG - Document de travail - Economie from LEG, Laboratoire d'Economie et de Gestion, CNRS, Université de Bourgogne

Abstract: The aim of this paper is to analyze the relationships between common shocks affecting the real economy and those underlying co-fluctuations in U.S. financial markets. In order to do this, we test for links between these common factors and also use the econometric theory of non-stationary panel data to estimate the relationships. The estimates prove the existence of significant relationships between financial and macroeconomic factors. It is also shown that there are forces pulling U.S. financial markets to move.

Keywords: Panic analysis; Panel Data; Common factors; Financial Crises; U.S (search for similar items in EconPapers)
JEL-codes: C23 C5 D1 G1 N12 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2010
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lat:legeco:e2010-02

Access Statistics for this paper

More papers in LEG - Document de travail - Economie from LEG, Laboratoire d'Economie et de Gestion, CNRS, Université de Bourgogne Pôle d'Economie et de Gestion - 2, bd Gabriel - BP 26611 - F-21066 Dijon cedex - France. Contact information at EDIRC.
Bibliographic data for series maintained by ().